Estimating expected inflation

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shipoopi
Posts: 3
Joined: Tue Mar 30, 2010 9:16 am

Estimating expected inflation

Postby shipoopi » Tue Mar 30, 2010 9:24 am

Hi All,

I have a question regarding the estimation of expected inflation, which I need to calculate real interest rates. I have data on current inflation and nominal rates.

I know that I need an ARIMA(0,1,1) process for doing this. The thing is that I don't know how generate the new variable out of this ARIMA model when this is estimated.

Does anyone have any suggestions?

Thanks a lot in advance!
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